UR Notional • 14.50% Upfront (Difference between Dirty Price and Par) Client Recs Floating USD Notional • [ 3m Libor + 6.30% (Quarterly, Act/360) First Short Coupon Swap Start to 29 Jun 18 Client Recs Fixed USD Notional • [ 9.30% I (Semi, 30/360) First Short Coupon Swap Start to 29 Jun 18 Set Date Pay Date EUR Notio

9 Semi. 31-Dec- 29-Jun- 30/360 17 18 6.48% 3.68% 7.90% 5.00% 9.30% 6.30% (Ann, Act/Act) First Full Coupon 15 Jan 18 (Quarterly, Act/360) First Short Coupon Swap Start (Semi, 30/360) First Short Coupon Swap (Semi, 30/360) First Full Coupon 31 Dec 17 to 29 EUR Notional • 14.50% Upfront (Difference between Dirty